Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/45700
Title: | Efficient Cardinality/Mean-Variance Portfolios | Authors: | Brito, R. Pedro Vicente, Luís Nunes |
Issue Date: | 2014 | Publisher: | Springer, Berlin, Heidelberg | Project: | info:eu-repo/grantAgreement/FCT/COMPETE/132981/PT | Serial title, monograph or event: | System Modeling and Optimization. CSMO 2013. IFIP Advances in Information and Communication Technology | Volume: | 443 | Place of publication or event: | Klagenfurt, Austria | Abstract: | We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Recent progress in multiobjective optimization without derivatives allow us to robustly compute (in-sample) the whole cardinality/mean-variance efficient frontier, for a variety of data sets and mean-variance models. Our results show that a significant number of efficient cardinality/mean-variance portfolios can overcome (out-of-sample) the naive strategy, while keeping transaction costs relatively low. | URI: | https://hdl.handle.net/10316/45700 | DOI: | 10.1007/978-3-662-45504-3_6 | Rights: | embargoedAccess |
Appears in Collections: | I&D CMUC - Artigos e Resumos em Livros de Actas |
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